Peter Hördahl
Senior Economist
Monetary and Economic Department, Financial Markets
Peter Hördahl is a senior economist in the Financial Markets group of the Monetary and Economic Department. He joined the BIS in 2006, after seven years at the European Central Bank, where he worked two years in the Capital Markets Division of the Directorate Monetary Policy and thereafter five years in the Directorate General Research. Prior to this, he worked two years at the Swedish Riksbank. He received a PhD in Economics from Lund University in 1997. His research agenda is focused on the term structure of interest rates, in particular how macroeconomic fundamentals determine the dynamics of bond yields and term premia. Other research interests include credit risk in sovereign bonds and the extraction of information on market expectations from asset prices.
Fields of interest
Selected Publications
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"Inflation risk premia in the term structure of interest rates," with Oreste Tristani, Journal of the European Economic Association, forthcoming, 2011.
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"The yield curve and macroeconomic dynamics," with Oreste Tristani and David Vestin, Economic Journal, no 118, pp. 1937-1970, 2008.
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"A joint econometric model of macroeconomic and term structure dynamics," with Oreste Tristani and David Vestin, Journal of Econometrics, 131, pp. 405-444, 2006.
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"Interpreting implied risk-neutral densities: The role of risk premia," with David Vestin, Review of Finance, 9, pp. 97-137, 2005.
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"Forecasting variance using stochastic volatility and GARCH," with Björn Hansson, European Journal of Finance, 11, pp. 33-57, 2005.
